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Empirical Modeling of Contagion: A Review of Methodologies

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Author Info
Mardi Dungey
Renee Fry
Vance Martin
Brenda González-Hermosillo

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Abstract

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate testing, endogeneity issues, and structural breaks.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/78.

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Length: 32 pages
Date of creation: 20 May 2004
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Handle: RePEc:imf:imfwpa:04/78

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Keywords: Financial crisis Economic models

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  34. Robert Flood & Nancy Marion, 1998. "Perspectives on the Recent Currency Crisis Literature," NBER Working Papers 6380, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  40. Geert Bekaert & Robert J. Hodrick, 1992. "Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," NBER Working Papers 3790, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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